Trillos, CAG;
(2015)
A Decreasing Step Method for Strongly Oscillating Stochastic Models.
Annals of Applied Probability
, 25
(2)
pp. 986-1029.
10.1214/14-AAP1016.
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Abstract
We propose an algorithm for approximating the solution of a strongly oscillating SDE, that is, a system in which some ergodic state variables evolve quickly with respect to the other variables. The algorithm profits from homogenization results and consists of an Euler scheme for the slow scale variables coupled with a decreasing step estimator for the ergodic averages of the quick variables. We prove the strong convergence of the algorithm as well as a C.L.T. like limit result for the normalized error distribution. In addition, we propose an extrapolated version that has an asymptotically lower complexity and satisfies the same properties as the original version.
Type: | Article |
---|---|
Title: | A Decreasing Step Method for Strongly Oscillating Stochastic Models |
Open access status: | An open access version is available from UCL Discovery |
DOI: | 10.1214/14-AAP1016 |
Publisher version: | http://doi.org/10.1214/14-AAP1016 |
Language: | English |
Additional information: | This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions. |
UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Mathematics |
URI: | https://discovery.ucl.ac.uk/id/eprint/1464372 |
1. | United Kingdom | 2 |
2. | United States | 2 |
3. | China | 1 |
4. | Indonesia | 1 |
5. | Italy | 1 |
6. | Japan | 1 |
7. | Russian Federation | 1 |
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